| 信贷资产证券化信用风险临界值研究 |
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| 引用本文： | 申富平,成焕英.信贷资产证券化信用风险临界值研究[J].石家庄经济学院学报,2010,33(1):15-17. |
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| 作者姓名： | 申富平 成焕英 |
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| 作者单位： | 1. 河北经贸大学,河北,石家庄,050061
2. 石家庄经济学院,河北,石家庄,050031 |
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| 摘 要： | 以信贷资产证券化为研究对象,结合2005年国开行一期信贷资产支持证券的资产池数据资料,应用修正的KMV模型对基础资产信用风险进行了定量分析,并对资产池违约风险临界值的确定方法进行了深入的探讨。
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| 关 键 词： | 信贷资产证券化 信用风险 KMV模型 临界值 |
Research on the Critical Value of Credit Risk in Credit Asset Securitization |
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| SHEN Fu-ping,CHENG Huan-ying.Research on the Critical Value of Credit Risk in Credit Asset Securitization[J].Journal of Shijiazhuang University of Economics,2010,33(1):15-17. |
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| Authors: | SHEN Fu-ping CHENG Huan-ying |
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| Institution: | 1. Hebei University of Economics ＆ Business, Shijiazhuang, Hebei 050061; 2. Shijiazhuang University of Economics, Shijiazhuang, Hebei 050031) |
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| Abstract: | This paper discusses the credit asset securitization and makes a quantitative analysis on the credit risk of basic asset by the use of improved KMV model combining with the asset pool data of credit asset securitization offered by China Development Bank in 2005. At last, the method for defining the critical value of credit risk asset pool is reviewed in greater detail. |
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| Keywords: | credit asset securitization credit risk KMV model critical value |
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